International portfolio optimisation with integrated currency overlay costs and constraints

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International portfolio optimisation with integrated currency overlay costs and constraints

International financial portfolios can be exposed to substantial risk from variations of the exchange rates between the countries in which they hold investments. Nonetheless, foreign exchange can both generate extra return as well as loss to a portfolio, hence rather than just being avoided, there a...

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Bibliographic Details
Main Authors:	Chatsanga, Nonthachote, Parkes, Andrew J.
Format:	Article
Published:	Elsevier 2017
Subjects:	Mean-variance optimisation; Currency overlay; Foreign exchange forward contracts
Online Access:	https://eprints.nottingham.ac.uk/43781/

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